diff --git a/src/fa/convex/legendre.tex b/src/fa/convex/legendre.tex index fa9b0e2..544595f 100644 --- a/src/fa/convex/legendre.tex +++ b/src/fa/convex/legendre.tex @@ -69,24 +69,36 @@ with equality if and only if $\phi \in \partial f(x)$. \end{theorem} \begin{proof} - Let $x \in E$ and $\phi \in F$ with $f(x) < \infty$, then + Let $x \in E$ and $\phi \in F$. Assume without loss of generality that $f(x) < \infty$, then \[ f(x) + f^*(\phi) \ge f(x) + \dpn{x, \phi}{\lambda} - f(x) = \dpn{x, \phi}{\lambda} \] - For the equivalence, + Now let $x \in E$ and $\phi \in F$ such that $\dpn{x, \phi}{\lambda} = f(x) + f^*(\phi)$, then $f(x), f^*(\phi) < \infty$ and \begin{align*} f(x) + f^*(\phi) &= \dpn{x, \phi}{\lambda} \\ f^*(\phi) &= \dpn{x, \phi}{\lambda} - f(x) \end{align*} - if and only if for every $h \in E$, + By definition, + \[ + \dpn{x, \phi}{\lambda} - f(x) = f^*(\phi) = \sup_{h \in E}\dpn{x+h, \phi}{\lambda} - f(x+h) + \] + + so for every $h \in E$, \begin{align*} \dpn{x, \phi}{\lambda} - f(x) &\ge \dpn{x+h, \phi}{\lambda} - f(x+h) \\ f(x + h) - f(x) &\ge \dpn{h, \phi}{\lambda} \end{align*} - if and only if $y \in \partial f(x)$. + Thus $\phi$ satisfies the subgradient inequality, and $\phi \in \partial f(x)$. + + On the other hand, if $f(x) < \infty$ and $\phi \in \partial f(x)$, then $f(x + h) - f(x) \ge \dpn{h, \phi}{\lambda}$ for all $h \in E$, and + \begin{align*} + f^*(\phi) &= \sup_{h \in E}\dpn{x+h, \phi}{\lambda} - f(x+h) = \dpn{x, \phi}{\lambda} - f(x) \\ + f^*(\phi) + f(x) &= \dpn{x, \phi}{\lambda} + \end{align*} + \end{proof} \begin{lemma}